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@Craig: now I gave only filenames not the entire path also in session I set the property Fixed Width,now I am able to load data to file. Thanks
@Rafi: yes I used that only
The standard source directory path variable is : $PMSourceFileDir

Hi,
First use direct file option and provide the filename as $PmSrcFile\four.txt and run the session. This will confirm $PmSrcFile is pointing to the correct path. If not then you need to correct the path using admin console.

If the etl ran fine then create the file list $PmSrcFile\file_list.txt and make the content as
<< Actual value of $PmSrcFile>>\one.txt
..
..
<< Actual value of $PmSrcFile>>\four.txt
then make the option indirect file and source filename $PmSrcFile\file_list.txt.

This should work fine. Please let me know if you are facing any issues.